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Performance Analysis of a Collateralized Fund Obligation (CFO) Equity Tranche
Aboul-Enein, Shady; Dionne, Georges; Papageorgiou, Nicolas - Centre Interuniversitaire sur le Risque, les Politiques … - 2009
This article examines the performance of the junior tranche of a Collateralized Fund Obligation (CFO), i.e. the residual claim (equity) on a securitized portfolio of hedge funds. We use a polynomial goal programming model to create optimal portfolios of hedge funds, conditional to investor...
Persistent link: https://www.econbiz.de/10008528556
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Performance analysis of a collateralized fund obligation (CFO) equity tranche
Aboul-Enein, Shady; Dionne, Georges; Papageorgiou, Nicolas - In: The European Journal of Finance 19 (2013) 6, pp. 518-553
This article examines the performance of the junior tranche of a collateralized fund obligation (CFO), i.e. the residual claim (equity) on a securitized portfolio of hedge funds. We use a polynomial goal programming model to create optimal portfolios of hedge funds, conditional to investor...
Persistent link: https://www.econbiz.de/10010679815
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Pricing of Automobile Insurance Under Asymmetric Information : a Study on Panel Data
Dahchour, M.; Dionne, G. - Théorie Économique, Modélisation, Application … - 2002
Persistent link: https://www.econbiz.de/10005523742
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Portfolio response to a shift in a return distribution : comment
Dachraoui, K.; Dionne, G. - Théorie Économique, Modélisation, Application … - 1998
Persistent link: https://www.econbiz.de/10005523747
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The non-optimality of deductible contracts against fraudulent claims : an empirical evidence in automobile insurance
Dionne, G.; Gagné, R. - Théorie Économique, Modélisation, Application … - 1997
Persistent link: https://www.econbiz.de/10005523750
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How to Make a Public Choice about the Value of a Statistical Life : The Case of Road Safety
Dionne, G.; Lanoie, P. - Théorie Économique, Modélisation, Application … - 2002
Persistent link: https://www.econbiz.de/10005523757
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Full pooling in multi-period contracting with adverse selection and noncommitment
Dionne, G.; Fluet, C. - Théorie Économique, Modélisation, Application … - 1999
Persistent link: https://www.econbiz.de/10005523765
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Proper risk behavior
Dachraoui, K.; Dionne, G.; Eeckhoudt, L.; Godfroid, P. - Théorie Économique, Modélisation, Application … - 1999
Persistent link: https://www.econbiz.de/10005523768
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Information structure, labour contracts and the strategic use of debt
Dachraoui, K.; Dionne, G. - Théorie Économique, Modélisation, Application … - 1998
Persistent link: https://www.econbiz.de/10005523769
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Experience rating schemes for fleets of vehicles
Desjardins, D.; Dionne, G.; Pinquet, J. - Théorie Économique, Modélisation, Application … - 2000
Persistent link: https://www.econbiz.de/10005523789